Notes on the two-dimensional fractional Brownian motion
arXiv:math/0602547 · doi:10.1214/009117905000000288
Abstract
We study the two-dimensional fractional Brownian motion with Hurst parameter $H>{1/2}$. In particular, we show, using stochastic calculus, that this process admits a skew-product decomposition and deduce from this representation some asymptotic properties of the motion.
Published at http://dx.doi.org/10.1214/009117905000000288 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)